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nanaluo · 2021年10月24日

没看明白解题思路

NO.PZ2016082404000037

问题如下:

An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time. Which strategy would the trader most likely employ to hedge the portfolio?

选项:

A.

  Sell short-dated options and buy long-dated options.

B.

  Buy short-dated options and sell long-dated options.

C.

  Sell short-dated options and sell long-dated options.

D.

  Buy short-dated options and buy long-dated options.

解释:

ANSWER: A

Such a portfolio is short vega (volatility) and short theta (time). We need to implement a hedge that is delta-neutral and involves buying and selling options with different maturities. Long positions in short-dated options have high negative theta and low positive vega. Hedging can be achieved by selling short-term options and buying long-term options.

没看明白解题思路

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年10月25日

同学你好,题目第一句话“An option portfolio exhibits high unfavorable sensitivity to increases in implied volatility and while experiencing significant daily losses with the passage of time.”给了两个条件,这个组合是short vega和short theta的组合。目前要对冲这个组合就要搞出来一个long vega和long theta的对冲头寸。

long 短期期权的theta又负又大,vega是正的但比较小。long 长期期权的theta是负的比较小,vega是正的且比较大。

所以要获得long vega和long theta的头寸,就要long长期的期权同时short 短期的期权。

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